scalpl

2016-09-29
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"scalpl is a project written by someone who is clearly having a great time" [@byrneseyeview](https://twitter.com/byrneseyeview/status/629724444802428928)

Legal-ease

The software is provided devoid of warantee, guarranty, liesense, and noncence: "do as thou wilt".

Please be advised that this use of the software renders varying signals to market participants in a manner that amplifies pre?xisting biases. Doing so in a jurisdiction where the potential consequences of such actions are liable to offend my religion, and should be considered a capital offense, insofar as such are punishable by said soi-dissant polit?s and church?s.

PROCLAIMER REGARDING CONTINUITY

After much internal debate, and in light of recent developments (by which is meant the guided actions of one patently insane and insanely unpatentable undividual behaving in a manner consistent with tween-age onset borderline schizo-affective disstimulant-modulated cyclothemia, with a dash of bitters and three parts simple syrup), we are back grom hiatus and seeking partners.

To celebrate our return, we are officially sponsoring theme songs, and actively seeking suggestions for more.

Abstract

There will be an engine for expressing arbitrarily intricate policies for placement and removal of offers in asset exchanges; today, it is hardcoded as a market maker. We also endeavor to provide a constructive extension of Kerckhoffs's Law to game theory, although it may require [un?]countably infinitely many steps.

Exchanges

Three Bitcoin exchanges are supported: Bitfinex, BTC-e, and Kraken. ScalpL also supports MPExAgent, if your hand plays cards at such tables. A fresh addition is a client for the Baloney Exchange!

More's ever in the works; consult an Architect for blueprints.

Mockumentation

Documentation currently takes the form of [penne bolognese] (http://georgik.sinusgear.com/2011/03/07/spaghetti-lasagna-and-raviolli-code/); translating this to natural language is a slow process, second in priority to refactoring the dish and evolving its phenotype.

Excuses and Explanations

  • Kevin Simler's [thoughts on wealth] (http://www.meltingasphalt.com/wealth-the-toxic-byproduct/), specifically parts ?-? (the "Congolese Trading Window"), outline the ideological basis for ScalpL;

  • Christ Stucchio's [HFT Apology] (http://www.chrisstucchio.com/blog/2012/hft_apology.html) outlines the mechanics of automated market making (ie, real world Congolese Window Trading);

  • Peter Seibel's [introduction] (http://www.gigamonkeys.com/book/introduction-why-lisp.html) to the excellent Practical Common Lisp lays out the factors behind the unconventional language choice; the book itself lights the larval lisper's quest; and

  • Timothy B Lee's cards summarize the Bitcoin phenomenon for the unfamiliar, purely as enrichment; though catalyzed by cryptocurrency, ScalpL itself is agn-asset-ic.

Current Status Build Status Quicklisp

Taming the Beast

The hardcoded volatility harvesting algorithm obeys several parameters:

  • fund-factor indicates the largest total fraction of the account funds (from either asset) which should ever be offered for trade.

  • resilience-factor affects how deeply offers penetrate into the order book; the factor is multiplied by the recent maximal trade volume.

  • targeting-factor is part of a negative feedback loop used to maintain a desired balance between the traded assets, although it is not a hard limit; persistent markets can elude this factor's rebalancing effect indefinitely.

  • skew-factor controls the nonlinearity of the feedback loop.

  • cut controls the tightness of placed offers; raising it yields a more profitable spread, at the cost of reduced execution volume.

Nature of the Beast

  • Harvesting progresses best when the market moves harmoniously with the configured parameters: for example, the most profitable targeting for a market which trends sideways will be equal allocation.

  • Allocation too far in the "wrong" direction other results in the harvester accumulating the asset unloaded by other market participants, eventually getting "run over": the portfolio is sufficiently imbalanced to prevent further market making. One can either wait for the trend to reverse, or rebalance at a loss.

  • Poorly calibrated resilience also weakens returns: if the resilience is too high compared to current market activity, execution volume suffers; too low, and the increased volume is only beneficial when the market moves match the targeting feedback cycle (mismatch accelerates the "running-over").

Past Performance

  • Although it's more indicative of others' past shame, than anybody's future luck, there were a dozenscore happy days aiming at an APR north of a lucky number seven.
Author
Adlai Chandrasekhar <adlai.chandrasekhar@gmail.com>
License
public domain